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1、2010 Zhengzhou Commodity Exchange 2010 郑州商品交易所Joseph J ONeill September 10, 2010 Joseph J ONeill 2010年9月10日Futures- Electronic Options-Floor 期货-电子交易-现场2Trading Ring 交易场所Cotton on ICE ICE 棉花走势ECONOMIC PURPOSE OF ECONOMIC PURPOSE OF FUTURES & OPTIONS MARKETSFUTURES & OPTIONS MARKETS 期货、期权市场的经济目的期货、期权市
2、场的经济目的Price DiscoveryPrice Discovery价格发现价格发现Risk ShiftingRisk Shifting or Hedging Hedging 风险风险 转移或套期保值转移或套期保值TWO APPROACHES TO TWO APPROACHES TO MARKET ANALYSIS MARKET ANALYSIS 市场分析的两种方式市场分析的两种方式 Fundamental Fundamental 基本分析基本分析Technical Technical 技术分析技术分析Fundamental Analysis基本分析uSupply and Demand 供
3、求关系Fundamental Factors基本因素uPrices of other commodities其他商品价格uBattle for crop land 耕地征用uPrice determines winner 价格决定胜负uWheat-Russia 小麦-俄国uCorn-Ethanol 玉米酒精生产uCotton-high demand-shrinking supplies 棉花-高需 求-低供给8Fundamental Factors基本因素uSize of US crop 美国农作物规模uChinese production 中国生产uChinese supply 中国供给uI
4、ndian situation 印度状况uFloods in Pakistan 巴基斯坦洪水uWorld Supply 世界供给uWorld demand 世界需求9There is a battle for cropland 耕地征用Price is how we determine which crop wins 价格决定何种作物胜出11Technical Analysis技术分析Technicals are the Leading Indicator of Fundamentals 技术是基本法则的首要指标13Call sales and its relationship to pric
5、e 卖出合约及其与价格的关系14Call Sales卖出合约 uCall Sales- Sales of cotton-Price not yet fixed 卖出合约-棉花销售-价格未定uPrice fixed at the discretion of mill buyer价格根据工厂买方而定uAssures supply without having to fix price确保供给无需定价151617Volatility易变性18Volatility易变性uSince 2008 volatility for cotton has increased dramatically自2008年来
6、棉花价格波动剧烈uPrice ranges for December futures12月棉花期货价格范围u1991 thru 2007 21 cents per pound 1991至2007年：每磅21美分u2008 61 cents per pound 2008年：每磅61美分u2009 65 cents per pound2009年：每磅65美分u2010 to 29/8/10 47 cents per pound 2010至08/29/2010：每磅47美分 19Market Volatility市场易变性Risk of not using futures and options 不
7、采用期货期权的危险性2122MILL HEDGINGMILL HEDGING 套期保值 In general, mills are: 总体来说，工厂是：uHedging exposure to raw cotton acquisition cost 原棉收 购成本的套期保值暴露uHedging net exposure套期保值 净暴露uHedging consistently throughout calendar year套期 保值持续整年23MILL CHOICESMILL CHOICES工厂选择工厂选择uHope and dont fix cash 期望和不固定 现金uFix cash
8、and hope固定现金和期望uBuy futures against unfixed cash need 购买期货抵制不定现金需求uBuy call options, cash unfixed 购买看 涨期权，现金不定uFix cash cost, buy put options固定现 金成本，购买看跌期权Hoping is like 相同期望2425HOPE & DONT FIX CASHHOPE & DONT FIX CASH 期望和不固定现金期望和不固定现金uuAdvantageAdvantage - no up-front cost for cash purchase or hedg
9、ing优点无现金购买或套期保值的预先成本uuDisadvantageDisadvantage - You dont always get what you want 缺点无法达到期望26BUY FUTURESBUY FUTURES购买期货购买期货uuAdvantagesAdvantages优点优点Eliminate outright risk 全面消除风险uuDisadvantagesDisadvantages缺点缺点Basis risk remains基本风险依旧存在Eliminates benefit from lower prices以低 价消除利益Margin calls 追加保证金2
10、7BUY CALL OPTIONSBUY CALL OPTIONS 购买看涨期权购买看涨期权uuAdvantagesAdvantages优点优点Eliminates outright price risk消除价格风险Preserves potential benefit from price decline在价格下降过程中保持潜在利益No margin calls无追加保证金uuDisadvantagesDisadvantages 缺点缺点Basis risk 基差风险Cost of options期权成本28Fix Cash Cost & Buy Put OptionsFix Cash Co
11、st & Buy Put Options 固定现金成本和购买看跌期权固定现金成本和购买看跌期权uuAdvantages Advantages 优点优点Eliminates outright/basis price risk全面消除价格风险、消除基差价格风险Preserves potential benefit from price decline 在价格下降过程中保持潜在利益No margin calls 无追加保证金uDisadvantages缺点Cost of Options 期权成本29Mill Hedge ExampleMill Hedge Example 工厂工厂套期保值示例 Ass
12、umptions假设uMill is hedging cotton for Dec/January delivery工厂正为12月和1月交付的棉花实施 套期保值Cash/futures basis is 10 centsu现金/期货基差为10美分Buy Cotton 20/08/10 购买棉花08/20/2010uFix price basis futures 84 cents固定价格 期货基差84美分uBasis 10 cents on 基差10美分uTotal cost 94 cents 总成本94美分30Protect with Put Option 带看跌期权保护Cotton cost
13、 94 cents 棉花成本为94美分84 cents futures + 10 cents on 84美分期货+10美分Buy 84 cent put option 购买84美分看跌期权Cost of option 3.92 cents 期权成本为3.92 美分Maximum cost 97.92 cents 最高成本97.92美分31Futures Price goes to 110 期货价格至110uMaximum Price is already fixed u最高价已定uCost of cotton 97.92 centsu棉花成本为97.92美分32Price goes down
14、to 58 cents 价格降至58美分uPrice of futures is now 58 cents当前期货价格为58美分u+ basis 10 cents on +基差10美分u+3.92 option cost +3.92期权成本uYour cost 71.92 您的成本是71.92美分33Results 结果Cost of Cotton 棉花成本uFutures Price w/o option w option期货价格 无期权带期权u84 cents 94 cents 97.92u84美分 94美分 97.92 美分u110 cents 94 cents 97.92u110 美分 94 美分 97.92美分u58 cents 94 cents 71.92u58 美分 94 美分 71.92美分34uThank You谢谢35
